Skip to Content
Toggle navigation
Home
Browse
Browse by Collection
Browse by Project Center
Browse Exhibits
About
About Us
Help
Login
Explore, Discover, Share
Search
Advanced search
Search Constraints
Start Over
Filtering by:
Advisor
Sturm, Stephan
Remove constraint Advisor: Sturm, Stephan
Resource type
Thesis
Remove constraint Resource type: Thesis
1
-
4
of
4
Sort by relevance
relevance
date uploaded ▼
date uploaded ▲
date modified ▼
date modified ▲
Number of results to display per page
10 per page
10
per page
20
per page
50
per page
100
per page
View results as:
List
Gallery
Masonry
Slideshow
Download search results to .CSV file
Search Results
Add to Category
Remove From Category
Numerical Methods for European Option Pricing with BSDEs
Keyword:
FT scheme
,
XVA
,
Linear Regression Monte Carlo method
, and
BSDE
Creator:
Min, Ming
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2018-04-24
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Arbitrage-Free Pricing of XVA for American Options in Discrete Time
Keyword:
funding spread
,
XVA
,
American option
,
counterpart credit risk
, and
no-arbitrage
Creator:
Zhou, Tingwen
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2017-04-26
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Implied Volatility and Extracted Risk Neutral Density of VIX Options during the Crisis and Relatively Calm Periods
Keyword:
VIX
,
VIX futures
, and
Implied volatility
Creator:
Santawisook, Patchara
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2015-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
A discrete model for the default risk of inter-banking networks
Keyword:
contagion
,
Networks
,
default
, and
banking system
Creator:
Andrei, Mihnea Stefan
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2014-05-01
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Toggle facets
Limit your search
Collections
Masters Theses
4
Year
Year range begin
–
Year range end
Current results range from
2014
to
2018
View distribution
Creator
Andrei, Mihnea Stefan
1
Min, Ming
1
Santawisook, Patchara
1
Zhou, Tingwen
1
Advisor
Sturm, Stephan
[remove]
4
Contributor
Sturm, Stephan
4
Unit (Department)
Mathematical Sciences
4
Publisher
Worcester Polytechnic Institute
4
Resource type
Thesis
[remove]
4